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The term premium and the UK economy 1980 - 2007

Dungey, Mardi H.; Vehbi, M. Tugrul - 2010

Persistent link: https://www.econbiz.de/10009384429

Monetary policy in illiquid markets : options for a small open economy

Claus, Edda; Dungey, Mardi H.; Fry, Renée - In: Open economies review 19 (2008) 3, pp. 305-336

Persistent link: https://www.econbiz.de/10003729101

Detecting contagion with correlation : volatility and timing matter

Dungey, Mardi H.; Yalama, Abdullah - 2009

Persistent link: https://www.econbiz.de/10003882203

Detecting contagion with correlation : volatility and timing matter

Dungey, Mardi H.; Yalama, Abdullah - 2010

Persistent link: https://www.econbiz.de/10008698087

Are financial crises alike?

Dungey, Mardi H.; Fry, Renee; González Hermosillo, Brenda - 2010

Persistent link: https://www.econbiz.de/10003949749

On the correspondence between data revision and trend-cycle decomposition

Dungey, Mardi H.; Jacobs, Jan; Tian, Jing; Van Norden, Simon - In: Applied economics letters 20 (2013) 4/6, pp. 316-319

Persistent link: https://www.econbiz.de/10009706792

Trend-cycle decomposition : implications from an exact structural identification

Dungey, Mardi H.; Jacobs, Jan; Tian, Jing; Van Norden, Simon - 2013

Persistent link: https://www.econbiz.de/10010198264

Continuous and jump betas : implications for portfolio diversification

Alexeev, Vitali; Dungey, Mardi H.; Yao, Wenying - In: Econometrics : open access journal 4 (2016) 2, pp. 1-15

Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 generally exceed the corresponding continuous betas. We...

Persistent link: https://www.econbiz.de/10011506397

Detecting contagion with correlation : volatility and timing matter

Dungey, Mardi H.; Yalama, Abdullah - In: International journal of applied business and economic … 10 (2012) 1, pp. 85-95

Persistent link: https://www.econbiz.de/10009676058

On the correspondence between data revision and trend-cycle decomposition

Dungey, Mardi H.; Jacobs, Jan; Tian, Jing; Van Norden, Simon - 2012

Persistent link: https://www.econbiz.de/10009561165